Abstract
The paper investigates the asymmetry in return and volatility spillovers across futures markets with non-overlapping stock exchange trading hours. The transmission of positive and negative return and volatility shocks is analysed for 104 channels of information conveyance identified by combining 9 developed and 11 emerging markets in markets pairs with non-overlapping trading hours. The asymmetric causality test is employed to daily stock index futures returns and volatilities for the period from 03 October 2010 to 03 October 2014. The paper sheds light on the relatively little explored concept of asymmetry in return and volatility spillovers across markets, providing novel evidence on stabilizing and destabilizing spillover effects.
| Original language | English |
|---|---|
| Pages (from-to) | 94-111 |
| Journal | International Review of Financial Analysis |
| Volume | 53 |
| Early online date | 12 Jul 2017 |
| DOIs | |
| Publication status | Published - Oct 2017 |
Keywords
- Asymmetric spillover effects
- Return and volatility transmission
- Stabilizing and destabilizing spillover effect